The Clark-Ocone formula and the Poincare' inequality for point processes

Dr. Giovanni Luca Torrisi, CNR-Istituto per le Applicazioni del Calcolo “M. Picone” (Roma)

  • Date: 06 FEBRUARY 2019  at 14:30

  • Event location: Aula seminari - Dipartimento di Scienze Statistiche, I piano

  • Type: Statistics Seminars

Abstract:
Clark-Ocone formulas are powerful results in stochastic analysis with a variety of applications.
In the talk we provide the Clark-Ocone formula for square-integrable functionals of point processes with
stochastic intensity. Then we present two applications of the formula: the Poincare' inequality and a
concentration bound for those functionals. Our results generalize the corresponding ones on the Poisson
space. The talk is based on joint works with Ian Flint and Nicolas Privault (NTU, Singapore).


L’Organizzatore                                                                             Il Direttore
Dott. Alberto Lanconelli                                                                 Prof. Angela Montanari